How to join the bones?
You have two separate objects. To join them you have to enter the object mode first. On the screenshot, the selected bone (and it's armature) is in edit mode. Press &#8633; Tab to go into object mode or choose Object Mode from the footer menu of the 3D view.

When you are in object mode you should be able to select both of the armatures by &#8679; Shift RMB clicking. When both are selected (and highlighted) you can join them by pressing &#9096; CtrlJ. All objects of the same type can be joined in object mode with &#9096; CtrlJ. Now you can enter edit mode again (&#8633; Tab) and select both bones.